Portuguese Foundation for Science / NOVA School of Business and Economics / NBER / CEPR / Cat´olica Lisbon School of Business and Economics / Man Institute / /
Person
Eduardo Schwartz / Nova de Lisboa / Enrique Sentana / Palma de Cima / Andreas Rathgeber / Pedro Matos / Christopher Jones / Miguel Ferreira / Ivan Shaliastovich / Richard Roll / Bakshi / Angel Le / David Moreno / Mark Grinblatt / / /
Position
model / Cao / Millennium Chair in Finance / rt / log-return rt / Corresponding author / general nonlinear latent factor model / /
Optimal Option Portfolio Strategies∗ Jos´e Afonso Faias1 and Pedro Santa-Clara2 Current version: October 2011 Abstract Options should play an important role in asset allocation. They allow for kernel spanning and prov